Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 2
Score -4.56 -3.57 -3.77
Market Cap (Millions USD) 180.25 141.24 165.44
Predicted Beta 0.06 0.05 0.09
Idiosyncratic Volatility 4.08 3.27 4.2

Annualized return and volatility

PPH
Annualized Return 0.0479
Annualized Std Dev 0.1817
Annualized Sharpe (Rf=0%) 0.2634

Row

Daily Return Statistics

PPH
Observations 5092.0000
NAs 22.0000
Minimum -0.0777
Quartile 1 -0.0054
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0061
Maximum 0.1018
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0114
Skewness -0.0139
Kurtosis 5.4808

Downside Risk

PPH
Semi Deviation 0.0082
Gain Deviation 0.0080
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0081
Downside Deviation (0%) 0.0081
Maximum Drawdown 0.4645
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0272
Modified VaR (95%) -0.0174
Modified ES (95%) -0.0271
From Trough To Depth Length To Trough Recovery
2000-12-29 2002-07-23 2012-07-02 -0.4645 2944 396 2548
2015-08-06 2016-11-03 NA -0.2986 1123 320 NA
2000-02-09 2000-03-07 2000-04-04 -0.2157 40 19 21
2000-07-12 2000-09-06 2000-10-23 -0.1507 74 40 34
2014-09-25 2014-10-16 2014-11-11 -0.0898 35 16 19

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec PPH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA -1.8 0.0 -0.5 -0.9 0.0 3.8 0.2 0.0 0.4 -2.2 0.0 -1.2
2001 1.7 -1.0 0.0 0.1 1.5 0.0 0.0 0.0 2.2 1.8 0.0 0.0 6.4
2002 0.2 1.9 0.5 2.0 0.0 -4.4 -3.6 0.0 3.7 0.9 0.0 0.0 0.8
2003 0.0 0.0 1.7 0.3 0.0 0.7 -2.1 0.0 1.8 0.0 1.7 0.0 4.1
2004 0.0 0.4 0.9 0.0 0.7 -0.8 0.0 -0.2 1.4 -1.3 1.6 0.0 2.5
2005 0.4 1.1 -0.8 0.0 0.2 -0.3 0.4 -0.4 0.0 -0.7 0.4 0.0 0.4
2006 0.7 0.2 0.0 -0.5 1.1 0.0 0.1 0.6 0.0 -0.2 0.4 0.0 2.4
2007 0.7 -0.4 0.0 0.8 0.2 0.0 1.3 0.0 1.5 -1.7 0.0 0.0 2.4
2008 1.1 0.0 1.5 1.8 0.0 0.9 -0.1 0.0 1.0 0.0 -6.8 0.0 -0.8
2009 0.0 0.0 0.8 0.4 -0.1 -0.1 0.0 -1.2 -1.5 0.0 1.3 0.0 -0.5
2010 0.6 0.6 0.4 0.0 -0.7 -0.8 0.0 2.0 0.0 0.1 1.8 0.0 4.0
2011 2.4 -0.9 0.7 0.0 -1.3 1.0 -1.1 -0.6 0.0 -1.2 -0.1 0.0 -1.3
2012 0.9 1.1 0.0 0.2 -1.6 0.0 0.2 0.0 0.5 0.6 0.0 0.0 1.9
2013 0.8 0.2 0.1 -1.6 0.0 0.5 0.6 0.0 1.2 0.8 0.0 0.0 2.6
2014 0.0 0.0 0.1 0.5 0.0 0.8 0.1 0.0 -0.8 0.0 -0.2 0.0 0.5
2015 0.0 0.0 -0.6 1.0 0.2 1.3 0.0 -2.5 0.9 0.0 1.9 0.0 2.3
2016 0.5 1.8 1.0 0.0 0.5 0.8 0.0 -0.2 0.0 0.8 -1.5 0.0 3.8
2017 0.6 0.8 0.0 0.1 1.3 0.0 -0.5 -0.1 0.0 0.6 0.2 0.0 3.0
2018 0.4 -1.8 0.0 0.2 0.8 0.0 -0.2 0.0 -0.1 2.9 0.0 0.0 2.1
2019 0.8 1.1 0.4 -0.4 0.0 0.6 0.6 0.0 -1.7 0.7 0.0 0.1 2.2

Row

Rolling Performance Chart

Snail Trail Chart